Convective Risk Flows in Commodity Futures Markets

For helpful comments and encouragement, the authors would like to thank Bob Hodrick, Michael Johannes, Uday Rajan, Ken Singleton, Moto Yogo, and seminar participants at Columbia University, the Federal Reserve Board, Fordham University, and Princeton University. We thank Matt Baron and Philip Yan for research assistance. Xiong acknowledges financial support from Smith Richardson Foundation grant #2011-8691. The views expressed in this paper are our own and do not constitute an official position of the Commodity Futures Trading Commission, its commissioners, its staff, or the National Bureau of Economic Research.